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Cross-Firm Volatility Analysis

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Comparing FX volatility outlooks, carry-to-vol ratios, and event risk across 8 firms

Avg VXY Level
7.0
VXY Range
7–7
Total Carry Pairs
80
Event Risk Items
23

VXY Level by Firm

FX implied volatility index level — higher = more vol expected

Carry-to-Vol Consensus

Average ratio across firms (higher = more attractive carry trade)

Vol Coverage

Themes vs carry pairs per firm

Carry Pairs: Live Rates

Current rates for top carry-to-vol pairs across firms

CNH/INR
Avg Ratio1.94
EUR/PLN
Avg Ratio1.85
USD/ZAR
Avg Ratio1.67
USD/BRL
Avg Ratio1.59
USD/MXN
Avg Ratio1.42
EUR/TRY
Avg Ratio1.11
EUR/HUF
Avg Ratio1.02
USD/NOK
Avg Ratio0.92
EUR/NOK
Avg Ratio0.87
EUR/SEK
Avg Ratio0.74

Event Risk: Cross-Firm Assessment

How different firms price event volatility

US Midterm Elections
JPM
7.5vs 0.0
GS
7.2vs 0.0
ING
7.0vs 0.0
MS
7.5vs 0.0
MUFG
7.5vs 0.0
BofA
7.5vs 0.0
DB
7.5vs 0.0
BARC
7.2vs 0.0
Hungary Parliamentary Elections
JPM
61.0vs 17.0
GS
58.0vs 17.0
MS
60.0vs 17.0
MUFG
61.0vs 17.0
BofA
58.0vs 15.0
DB
60.0vs 15.0
BARC
59.0vs 17.0
Brazil General Elections
JPM
91.0vs 0.0
GS
88.0vs 0.0
ING
14.5vs 0.0
MS
88.0vs 0.0
MUFG
85.0vs 0.0
BofA
88.0vs 0.0
DB
90.0vs 0.0
BARC
88.0vs 0.0

Vol Outlook Comparison

JPM7 themes · 10 carry pairs · 3 events

Subdued but watch Fed pivot risks

GS7 themes · 10 carry pairs · 3 events

Expect gradual vol normalization in 2026 as USD trends emerge

ING6 themes · 10 carry pairs · 2 events

Vol to decline further as central banks near terminal rates

MS7 themes · 10 carry pairs · 3 events

Vol likely to rise in H1 on Fed pivots, then compress again in H2

MUFG7 themes · 10 carry pairs · 3 events

Expect gradual vol normalization as Fed eases and BoJ normalizes

BofA5 themes · 10 carry pairs · 3 events

Volatility expected to rise in H2 on election risks

DB6 themes · 10 carry pairs · 3 events

Vol regime shift likely as Great Rotation accelerates

BARC7 themes · 10 carry pairs · 3 events

Low vol regime likely to persist in H1 but risks building for H2